Covariance stationary GARCH-family models with long memory property

DOI10.1016/J.JKSS.2007.07.001zbMath1196.62115OpenAlexW1978208424MaRDI QIDQ1031773

J. Blot

Publication date: 30 October 2009

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2007.07.001

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)

Related Items (1)

Geometric Ergodicity and Moment Conditions for a Seasonal GARCH Model with Periodic Coefficients

Cites Work

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• STATIONARITY AND MEMORY OF ARCH([infty infinity) MODELS]
• On the Autocorrelation Properties of Long‐Memory GARCH Processes
• STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM
• The memory of stochastic volatility models

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